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A SIMPLE NONPARAMETRIC APPROACH FOR ESTIMATION AND INFERENCE OF CONDITIONAL QUANTILE FUNCTIONS

条件分位数函数估计与推断的简便非参数方法

In this paper, we present a new nonparametric method for estimating a conditional quantile function and develop its weak convergence theory. The proposed estimator is computationally easy to implement and automatically ensures quantile monotonicity by construction. For inference, we propose to use a residual bootstrap method. Our Monte Carlo simulations show that this new estimator compares well with the check-function-based estimator in terms of estimation mean squared…

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Inference for Large‐Scale Linear Systems With Known Coefficients

已知系数大型线性系统的推断

This paper considers the problem of testing whether there exists a non‐negative solution to a possibly under‐determined system of linear equations with known coefficients. This hypothesis testing problem arises naturally in a number of settings, including random coefficient, treatment effect, and discrete choice models, as well as a class of linear programming problems. As a first contribution, we obtain a novel geometric characterization of the null hypothesis in terms of…

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A Projection Framework for Testing Shape Restrictions That Form Convex Cones

检验凸锥形状约束的投影框架

This paper develops a uniformly valid and asymptotically nonconservative test based on projection for a class of shape restrictions. The key insight we exploit is that these restrictions form convex cones, a simple and yet elegant structure that has been barely harnessed in the literature. Based on a monotonicity property afforded by such a geometric structure, we construct a bootstrap procedure that, unlike many studies in nonstandard settings, dispenses with estimation of…

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Inference on functionals under first order degeneracy

一阶退化下的泛函推断

This paper presents a unified framework for inference on parameters of the form ϕ(θ0), where θ0 is unknown but can be estimated by θˆn, and ϕ is known with null first order derivative at θ0. We show the “standard” bootstrap is consistent if and only if the second order derivative ϕθ0′′=0 under regularity conditions, thereby identifying a source of bootstrap failures distinct from that in Fang and Santos (2018). Two consistent bootstrap schemes are proposed: one based on Babu…

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Improved inference on the rank of a matrix

矩阵秩的改进推断

This paper develops a general framework for conducting inference on the rank of an unknown matrix Π 0 . A defining feature of our setup is the null hypothesis of the form H 0 : rank ( Π 0 ) ≤ r . The problem is of first‐order importance because the previous literature focuses on H 0 ′ : rank ( Π 0 ) = r by implicitly assuming away rank ( Π 0 ) < r , which may lead to invalid rank tests due to overrejections. In particular, we show that limiting distributions of test…

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Inference on Directionally Differentiable Functions

This article studies an asymptotic framework for conducting inference on parameters of the form $\phi(\theta_0)$, where $\phi$ is a known directionally differentiable function and $\theta_0$ is estimated by $\hat \theta_n$. In these settings, the asymptotic distribution of the plug-in estimator $\phi(\hat \theta_n)$ can be derived employing existing extensions to the Delta method. We show, however, that (full) differentiability of $\phi$ is a necessary and sufficient…

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Covariance Matrix Estimation via Network Structure

利用网络结构估计协方差矩阵

In this article, we employ a regression formulation to estimate the high-dimensional covariance matrix for a given network structure. Using prior information contained in the network relationships, we model the covariance as a polynomial function of the symmetric adjacency matrix. Accordingly, the problem of estimating a high-dimensional covariance matrix is converted to one of estimating low dimensional coefficients of the polynomial regression function, which we can…

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